Incorporating Judgement in Fan Charts

Arbeitspapier

Within a decision-making group, such as the monetary-policy committee of a central bank,group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent’s judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system, and accordingly, a particular predictive density – or fan chart – associated with it. A weighted linear combination of the predictive densities yields a final predictive density that correctly reflects the uncertainty perceived by the agents generating the forecast. In a model-based environment, this framework allows judgement to be incorporated into fan charts in a formalised manner.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2006:30

Classification and Topics

• Classification: Wirtschaft ; Statistical Simulation Methods: General ; Forecasting Models; Simulation Methods ; General Aggregative Models: Forecasting and Simulation: Models and Applications ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General
• Subject: Forecasts ; Predictive density ; Linear opinion pool ; Geldpolitik ; Zentralbank ; Wirtschaftsprognose ; Entscheidung bei Unsicherheit ; Meinung ; Ökonometrisches Makromodell

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Österholm, Pär
• Event: Veröffentlichung
• (who): Uppsala University, Department of Economics
• (where): Uppsala
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/82702
• URN: urn:nbn:se:uu:diva-19541
• Last update: 10.03.2025, 11:42 AM CET